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On the last exit times for spectrally negative Lévy processes

Published online by Cambridge University Press:  22 June 2017

Yingqiu Li*
Affiliation:
Changsha University of Science and Technology
Chuancun Yin*
Affiliation:
Qufu Normal University
Xiaowen Zhou*
Affiliation:
Concordia University
*
* Postal address: School of Mathematics and Statistics, Changsha University of Science and Technology, Changsha, Hunan 410114, China.
** Postal address: School of Statistics, Qufu Normal University, Qufu, Shandong 273165, China.
*** Postal address: Department of Mathematics and Statistics, Concordia University, Montreal, Quebec H3G 1M8, Canada. Email address: [email protected]

Abstract

Using a new approach, for spectrally negative Lévy processes we find joint Laplace transforms involving the last exit time (from a semiinfinite interval), the value of the process at the last exit time, and the associated occupation time, which generalize some previous results.

Type
Research Papers
Copyright
Copyright © Applied Probability Trust 2017 

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